You can register a custom URL protocol handler: http://blogs.msdn.com/b/noahc/archive/2006/10/19/register-a-custom-url-protocol-handler.aspx
For example look at HKEY_CLASSES_ROOT\http
or HKEY_CLASSES_ROOT\ftp
to get an idea of how to do it.
The shell\open\command
key has a default value which contains the executable to run when the URL protocol is triggered.